V-Lab: Aggreko PLC Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Aggreko PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, August 10th, 2021:2.10% (-0.06%)

Analysis last updated: Tuesday, August 10, 2021 at 01:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9976	3.66
$α$	0.1309	6.52
$β$	0.8161	28.17
$γ_{1}$	0.2460	1.56
$γ_{2}$	-0.4435	-1.89
$γ_{3}$	0.3116	2.42
$γ_{4}$	-0.1659	-1.73
$γ_{5}$	0.0580	0.70
$γ_{6}$	0.0182	0.20
$γ_{7}$	-0.0640	-0.42
$γ_{8}$	-0.3560	-1.74

Estimation Period:
Sep 26, 1997 to Aug 6, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts